Going on for many weeks/days. Look at the performance of the size factor.

Here’s what happened:
1) In 2019/20, most PMs got burned on SMID shorts.
2) As a result, most PMs (including myself) have pivoted to shorting index and large caps. https://twitter.com/mnupdate/status/1384536896966037507

3) Longbook has a strong tilt too midcaps though. That’s where all the exciting stuff happens, after all.
4) In early March, the de-leveraging started, coming of a period with record gross and net exposures.
5) Archegos was a victim of the de-leveraging, not a cause.

When Archegos blew up, the de-leveraging was already going on for 3 weeks and silently put pressure on Archegos book, until it could no longer meet margin requirements.
(“When the tide goes out...”)
6) The liquidation of Archegos accelerated that de-leveraging.

7) More importantly, post Archegos, many PBs started increasing margin requirements and funds started de-leveraging.
8) The result of the short book being mostly Index and large cap was upward pressure in the Indices and Large Caps (extreme outperformance of size factor).

9) Simultaneously crowded longs (mid caps, growth, SPACs) got liquidated.
10) A good visualization of the result is below: $PFE (large cap) vs $XBI. You’re looking at a 3000bps delta here over just 2 months.